No, they don't. If you want to connect fans directly to the power supply via 4 pin Molex, you need to use adapters, which most worthwhile fans come with or you can buy relatively cheap. There are fans that are 4 pin Molex hardwired versions, but they are not generally PWM. PWM fans connect to 4 pin motherboard headers which are entirely different from 4 pin Molex which have no regulation in most cases except a few versions that have the 4 pin Molex connector for power and a separate reference signal connector to be connected to the signal pin on the motherboard PWM socket.
I don't recommend 4 pin Molex fans as they run at full speed at all times aside from a few like I mentioned. It also makes a big difference what SIZE fans you're...